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Short-term Institutional Herding and Its Impact on Stock Prices
16 references·4 citing·35 second hopsampled
Short-term Institutional Herding and Its Impact on Stock Prices (2008)Short-term Institutional Herding and Its …Dumb money: Mutual fund flows and the cross-section of stock returns (2008)Dumb money: Mutual fund flows…All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)All That Glitters: The Effect…Institutional Herding (2003)Institutional HerdingMutual Fund Herding and the Impact on Stock Prices (1999)Mutual Fund Herding and the I…Herding and Feedback Trading by Institutional and Individual Investors (1999)Herding and Feedback Trading …Are Investors Reluctant to Realize Their Losses? (1998)Are Investors Reluctant to Re…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings (1996)Preferences for Stock Charact…The Behavior of Stock Prices Around Institutional Trades (1995)The Behavior of Stock Prices …Security Analysis and Trading Patterns When Some Investors Receive Information Before Others (1994)Security Analysis and Trading…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The impact of institutional trading on stock prices (1992)The impact of institutional t…A Simple Model of Herd Behavior (1992)A Simple Model of Herd Behavi…Herd Behavior and Investment (1988)Herd Behavior and InvestmentRisk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)PRICE IMPACTS OF BLOCK TRADIN…Herding Behaviour in Investment Decision Making: A Review (2019)Herding Behaviour in Investme…Co-Impact: Crowding Effects in Institutional Trading Activity (2018)Co-Impact: Crowding Effects i…Sectoral herding behavior in the aftermarket of Malaysian IPOs (2014)Sectoral herding behavior in …Gouvernance d’entreprise (2009)Gouvernance d’entrepriseThe General Theory of Employment (1937)Network externalities, competition, and compatibility (1985)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)The Limits of Arbitrage (1995)The Categorical Imperative: Securities Analysts and the Illegitimacy Discount (1999)Essays in Positive Economics (1954)Does the Stock Market Overreact? (1985)Risk Taking by Mutual Funds as a Response to Incentives (1997)Investor Psychology and Asset Pricing (2001)The Geography of Investment: Informed Trading and Asset Prices (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The General Theory of Employment, Interest and Money. (1936)Standardization, Compatibility, and Innovation (1985)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Using Online Conversations to Study Word-of-Mouth Communication (2004)Noise Trader Risk in Financial Markets (1990)Institutional Investors and Equity Prices (2001)What Makes Investors Trade? (2001)Prospect theory: An analysis of decision under risk (1988)Media Coverage and the Cross‐section of Stock Returns (2009)Who Gambles in the Stock Market? (2009)In Search of Attention (2011)Prospect Theory: An Analysis of Decision under Risk (1979)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Asset Fire Sales (and Purchases) in Equity Markets (2005)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1992A Simple Model of Herd Behavior6,511 cited
  • 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors4,550 cited
  • 1998Are Investors Reluctant to Realize Their Losses?3,721 cited
  • 1988Herd Behavior and Investment2,815 cited
  • 1992The impact of institutional trading on stock prices2,068 cited
  • 1999Mutual Fund Herding and the Impact on Stock Prices1,730 cited
  • 1999Herding and Feedback Trading by Institutional and Individual Investors1,587 cited
  • 1996Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings1,057 cited
  • 2003Institutional Herding898 cited
  • 2008Dumb money: Mutual fund flows and the cross-section of stock returns881 cited
  • 1995The Behavior of Stock Prices Around Institutional Trades794 cited
  • 1994Security Analysis and Trading Patterns When Some Investors Receive Information Before Others724 cited

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  • 1972PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE671 cited
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    • 2018Co-Impact: Crowding Effects in Institutional Trading Activity33 cited
    • 2019Herding Behaviour in Investment Decision Making: A Review26 cited
    • 2014Sectoral herding behavior in the aftermarket of Malaysian IPOs22 cited
    • 2009Gouvernance d’entreprise10 cited